There are a number of things that affect the color of parts and components. I suspect that your assembly file is using a different color definition file (CDF) than your piece parts. Open a piece part in its own window and go to menu -> preferences -> color palette; then do the same for the assembly. If they are different, you can reset it to the system default or export out the one you want and import it into the other file.
Another thing to check is the random color display option is turned on. Menu -> preferences -> visualization -> color -> geometry -> random color display. If all your components are the same color, I doubt this is the culprit, but might be worth checking.